tirsdag den 18. maj 2010

Boligboblen, flokmentalitet og finansielle markeder

Professor Gary Becker og professor Richard Posner har indlæg om boligboblen, flokmentalitet og de finansielle markeder på deres blog. Posner skriver med udgangspunkt i Eugene Famas teori om efficiens på de finansielle markeder, at bobler (altså perioder med overpriser på finansielle aktiver) ikke burde forekomme.

De stigende huspriser i USA fra 1996 til 2006 kan ikke forklares med realøkonomiske data i hele perioden. Frem til 2004 kan de stigende priser forklares med renteudviklingen, men efter de begyndende rentestigninger, er det svært at forklare. Becker mener, at de stigende priser fra 2004 til 2006 kan forklares med forventninger om yderligere prisstigninger, flokmentalitet og begrænset risiko for boligejerne og andre med investeringer i boligsektoren (mulighed for en stor gevinst eller intet eller lille tab svarende til flytteomkostningerne). Dette holder for boligejerne, men hvad med den finansielle sektor? Becker søger forklaringen i flokmentalitet og begrænset risiko for ejere og medarbejdere i den finansielle sektor:

"So why did the sophisticated finance industry finance a housing bubble whose bursting was bound to hurt the industry? There were plenty of warnings that there was a housing bubble; why did the industry ignore them? I think it was another though somewhat more complex example of rational herd behavior. The major assets of a modern financial institution are short-term capital and talented staff, and both are highly mobile assets that the institution will lose if it is less profitable than its competitors, and it will be less profitable if it refuses to make risky mortgage loans. Just as the adjustable-rate mortgagee’s downside risk is truncated by his ability to abandon the home if house prices don’t rise, so the financial institution’s downside risk is truncated by limited liability, which protects shareholders and managers from having to pay their company’s debts out of their own pockets.

Thus I don’t think bubble behavior is necessarily or even characteristically irrational. Often, including in the case of the housing and housing-credit bubbles, it is a rational adaptation to uncertainty. It is not efficient behavior in an overall social sense, and so efforts at detection and prevention of bubbles are probably worthwhile. Given the abundant warning signs and explicit warnings of a housing bubble and a housing-credit bubble, the failure of the Federal Reserve under Greenspan and Bernanke, the federal housing authorities, other economic organs of government, and almost the entire economics profession to detect these bubbles cries out for an explanation".
Becker foreslår, at bobler kan opstå som følge af sociale interaktioner og henviser til bogen Social Economics, som han har skrevet sammen med Kevin Murphy. Kort sagt:
"The most plausible view of asset price bubbles is that the price increases of an asset are supported by expectations of even further price increases that makes it worthwhile to buy and hold the asset at prices that far exceed the prices determined by the fundamentals".

"Although I find a social interaction approach to bubbles appealing, it does run into several difficulties. Why do not enough savvy investors see through what is going on, and build up large short positions. These short holdings would prevent a bubble from getting out of hand because they in effect increases the supply of the asset to help offset much of the unrealistic increase in demand? Some investors like John Paulson did take short positions in the residential housing market and made fortunes, as this theory would predict, although Paulson did it very indirectly through mortgage-backed securities and swaps. However, papers in finance point out that in many asset markets it is difficult to take large short positions on the future prices of these assets. Such difficulties would limit how much short arbitrage occurs (see the classic paper by Andrei Shleifer and Robert Vishny “the Limits of Arbitrage”, Journal of Finance, 1997)".
Becker mener, at en stabil og forudsigelig penge- og bankpolitik er det bedste, som politik har at byde på:
"If only small initiating and terminating forces are needed for bubbles to start and end, then it is easy to understand why bubbles occur, and why the start and end of bubbles are so difficult to predict, either by market participants or government officials. Some economists have suggested recently- discussed in the May 8 issue of The Economist- that governments try to take actions, such as countercyclical taxes on real estate, that prevent bubbles, in particular housing bubbles, from getting out of hand. The papers The Economist cited appear to misuse the “externality” argument for government actions in the housing market, but in addition I am highly skeptical that government officials can succeed where profit-seeking market participants fail. At least in the US, the vast majority of government officials involved encouraged rather than tried to moderate the housing bubble. I believe the best contribution public policy can make to the control of bubbles is to follow steady well-defined rules of behavior, such as Taylor-type rules, or capital requirement rules, that at least prevent political pressures from exacerbating any bubbles that do develop in housing and other markets".

1 kommentar:

  1. Richard Posner: How I Became a Keynesian, http://www.tnr.com/article/how-i-became-keynesian